Sequential action and beliefs under partially observable DSGE environments

Seong-Hoon Kim

    Research output: Working paper

    4 Downloads (Pure)

    Abstract

    This paper introduces a classification of DSGEs from a Markovian perspective,
    and positions the class of POMDP (Partially Observable Markov Decision Process) to
    the center of a generalization of linear rational expectations models. The analysis of
    the POMDP class builds on the previous development in dynamic controls for linear
    system, and derives a solution algorithm by formulating an equilibrium as a fixed
    point of an operator that maps what we observe into what we believe.
    Original languageEnglish
    PublisherCentre for Dynamic Macroeconomic Analysis
    Number of pages33
    Publication statusPublished - Dec 2011

    Publication series

    NameCentre for Dynamic Macroeconomic Analysis, Working Paper
    No.1116

    Keywords

    • DSGE
    • Partially Observable Markov Decision Process
    • POMDP
    • Observation channel
    • Kalman filter

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